This paper studies the following problem. An agent takes actions based on a possibly misspecified model. The agent is 'large', in the sense that his actions influence the model he is trying to learn about. The agent is aware of potential model misspecification and tries to detect it, in...

This paper studies adaptive learning with multiple models. An agent operating in a self-referential environment is aware of potential model misspecification, and tries to detect it, in real-time, using an econometric specification test. If the current model passes the test, it is used to...

The authors consider the following scenario: Two agents construct models of an endogenous price process. One agent thinks the data are stationary, the other thinks the data are nonstationary. A policymaker combines forecasts from the two models using a recursive Bayesian model averaging...

This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives...

Large deviations methods are used to characterize the stochastic properties of validation dynamics.

We focus on the outcomes sustained by the decision rule consistent with the satisficing behavior a la Simon [1987], slightly perturbed to incorporate sympathy in the spirit of Hume [1978]. For a general class of two person games, as the probability of continuing the long term relationship...

In general symmetric games with a pure symmetric efficient state (Karadika, Mookherjee, Ray and Vega-Rodondo [1998]), the long term relationship becomes pervasive if the society has a large number of players and the probability of exogenous termination of long term relationship is small. At any...

We examine whether the Coase conjecture (Coase [1972], Stokey [1981], Bulow [1982], Gul, Sonnenschein and Wilson [1986]) is robust against slight ability of commitment of the monopolist not to sell the durable goods to consumers with a reservation value higher than the marginal production cost....